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作者 Prajogo, Astrid U
書名 Analyzing Patterns in the Equity Market: ETF Investor Sentiment and Corporate Cash Holding
國際標準書號 9781124939476
book jacket
說明 159 p
附註 Source: Dissertation Abstracts International, Volume: 73-01, Section: B, page:
Adviser: John M. Mulvey
Thesis (Ph.D.)--Princeton University, 2011
This dissertation analyzes new patterns in the equity market returns with attention to market anomalies that can affect the pricing of equity assets
First, we focus our attention on the relatively young and expanding Exchange Traded Fund (ETF) market. We propose a new indicator for investor sentiment in the sector ETF market. Using this measure of investor sentiment, we find that abnormal excess returns can be generated from a portfolio that follows a contrarian view of what we believe to be the sentiment of ETF investors. We also show that the traditional Fama & French factors do not sufficiently explain our portfolio's excess returns
Second, we present the agribusiness sector as a new asset class and explore its return dynamics. The stable nature of food production demand intuitively causes the agribusiness sector to become less sensitive to shocks in the overall equity market. Our results suggest that the agribusiness sector has a unique return dynamics with low correlation with the aggregate equity market. Interestingly, we also find that the level of corporate cash holding is an important determinant of the sector returns. Upon further investigation, we observe that the level of corporate cash has been on the rise in recent years
Third, we seek to explain the importance of corporate cash savings in maximizing the firm's value to shareholders via stochastic programming. We argue that under a regime-switching framework, where investments are cheap(expensive) but borrowing is expensive(cheap) in a recession(expansion), the firm's optimal behavior is to save cash. We first present a tractable two-period model to investigate the cash savings policy of a financially constrained firm and then expand our model to a more realistic multistage stochastic program. This regime-switching framework also becomes a convenient feature that is useful in constructing a fixed policy rule approximation of the stochastic program solution
School code: 0181
Host Item Dissertation Abstracts International 73-01B
主題 Business Administration, Marketing
Operations Research
Alt Author Princeton University
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